How do non-normal parametric VaR models perform in risk-minimizing portfolios?
Dejan Živkov, Sanja Lončar, Jasmina Đurašković, Suzana Balaban
| Year of publication: |
2025
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|---|---|
| Authors: | Živkov, Dejan ; Lončar, Sanja ; Đurašković, Jasmina ; Balaban, Suzana |
| Published in: |
The quarterly review of economics and finance. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9769, ZDB-ID 2002261-X. - Vol. 102.2025, Art.-No. 102016, p. 1-12
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| Subject: | Asian stock markets | Extreme risk | NASDAQ index | Portfolio optimization | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Asien | Asia | Aktienindex | Stock index | Risikomanagement | Risk management | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | VAR-Modell | VAR model | Volatilität | Volatility | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2025.102016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015434164